NO.PZ2022123002000071
问题如下：
Sato is the manager of the Tsushima Manufacturing pension fund,
which has a target asset allocation of 60% equity and 40% bonds. The fund has separate
equity and fixed-income portfolios, whose characteristics are provided in
Exhibits 1 and 2. Sato expects equity values to increase in the coming two
years and, in order to avoid substantial transaction costs now and in two
years, would like to use derivatives to temporarily rebalance the portfolio.
Exhibit 1 Tsushima Pension Fund Equity Portfolio Characteristics
Exhibit 2 Tsushima Pension Fund Bond Portfolio Characteristics
In order to
rebalance the pension fund to its target allocations to equity and bonds, Watanabe
recommends using a pair of swaps.
Which
of these is most likely to be a characteristic of one of the two swaps Watanabe
describes to Sato?
选项：
A.
Receive
return on Nikko Bond Performance Index
B.
Receive
Libor
C.
Pay
return on Nikkei 225 Index
解释：
Correct Answer: B
B is correct. One
of the swaps would be pay Nikko Bond Performance Index return and receive
Libor.
C is incorrect
because one of the swaps would be pay Libor and receive, not pay, Nikkei 225
index return.
A
is incorrect because one of the swaps would be receive Libor and pay, not
receive, return on Nikko Bond Performance Index.
没太明白这个过程，不是直接receive 225，pay bond就可以了么
